We consider a multi-portfolio optimization problem where nonlinear market impact costs result in a strong dependency of one account's performance on the trading activities of other accounts. We develop a novel target-oriented model that jointly optimizes the rebalancing trades and split of...

Basic Concepts -- Regular Performance Measures -- Irregular Performance Measures -- Stochastic Machine Breakdowns -- Optimal Stopping Problems -- Multi-armed Bandit Processes -- Dynamic Policies -- Stochastic Scheduling with Incomplete Information -- Optimal Policies in Time-varying Scheduling...

It provides fuzzy programming approach to solve real-life decision problems in fuzzy environment. Within the framework of credibility theory, it provides a self-contained, comprehensive and up-to-date presentation of fuzzy programming models, algorithms and applications in portfolio analysis.